So I was looking for a quick way to alt+tab in and out of the game. That way I can see what's in game and then tab out to a guide or whatever in my browser. If I run the game in full screen it's quick to get out of the game, but getting back in takes 30+ seconds. Running in windowed mode is nice because you can get in and out easier, but I think there's a little bit of a lag issue? Also, there's an ugly border.

I played in windowed mode for a long time, and I still do a lot of the time. I haven't noticed any lag. Maybe when you first select the window, but after that it runs just fine. The border is just the border of the window, not much you can do about that.

IMO the best solution is to keep it windowed but to maximise it as much as possible, I think this is deffinately quicker than minimising it from full screen all the time.

I recommend dual screens. I used to play full screen, minimize, check guide in browser, click back to GW, etc. Now I have a dual-monitor setup. GW in window but filling screen 1 and browser maxed on screen 2.

Now that I've started playing this way, it's tough to go back to playing on my laptop.

I run in full screen, but also I have windowed mode setup to be nearly full screen. I usually switch to windowed mode - using the normal Windows type buttons in the upper right of the screen - to use the browser, etc., and then switch back to full screen (again using the buttons).
But, in any case, whether doing it that way, or using alt-tab, it doesn't take any significant time to switch between modes. There must be some other reason for it to take you 30 seconds to go back to full screen - driver issues, low RAM, etc. Make sure Windows and all your drivers are up to date.

What graphics do you have? What version of Windows? How much RAM? How much empty hard drive space?

I've never had any trouble with it in windowed mode. I make the window large enough to cover the entire screen except the task-bar at the bottom.
Never experienced lag because of it, and the border isn't much of an issue if you have Windows Vista or 7. Just go into the visual settings and choose the black borders. You'll get a nice black, slightly transparent border that shouldn't bother you because it will blend into the game.